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On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Brandt, Michael W. ; Kang, Qiang .
In: NBER Working Papers.
RePEc:nbr:nberwo:9056.

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  1. Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach. (2013). Asgharian, Hossein ; Hou, Aijun ; Javed, Farrukh .
    In: Knut Wicksell Working Paper Series.
    RePEc:hhs:luwick:2013_004.

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  2. Volatility puzzles: a unified framework for gauging return-volatility regressions. (2003). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-40.

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  3. Interpretable Asset Markets?. (2002). Yaron, Amir ; Bansal, Ravi ; Khatachtrian, Varoujan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9383.

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